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Banco de México-University of Zurich-Bank of Canada-Journal of Financial Stability, 2017 (PDF)

Network models and stress testing for financial stability

 Second conference on network models and stress testing for financial stability

 

Tuesday 26th September 2017

9:00-9:15

Opening remarks

Agustin Carstens Carstens (Governor Banco de México)
9:15-10:00 Keynote session
Professor Stephen Cecchetti (Brandeis University)
10:00-11:30

Session I. Financial Networks: systemic risk and new methods

Chair: Virginie Traclet (Model Development and Research Division Director, Bank of Canada)

The Global Banking Network in the Aftermath of the Crisis: Is There Evidence of De-globalization?
Haonan Zhou (International Monetary Fund)
Discussant: Robin Lumsdaine (American University)

The Complexity of Bank Holding Companies: A Topological Approach

Robin Lumsdaine (American University)
Discussant: Marco van der Leij (University of Amsterdam)
11:45-14:00

Session II. Financial Networks: systemic risk and new methods II

Collateral Unchained: Rehypothecation networks, complexity and systemic effects

Mauro Napoletano (French Economic Observatory - Paris Institute of Political Studies)
Discussant: Dilyara Salakhova (Bank of France)

Retrieving implied financial networks from bank balance-sheet and market data

Jose Fique (Bank of Canada)
Discussant: Mauro Napoletano (French Economic Observatory - Paris Institute of Political Studies)

Variance Decomposition Networks: Potential Pitfalls and a Simple Solution

Jorge Chan-Lau (International Monetary Fund)
Discussant: Serafin Martinez Jaramillo (Banco de México)
15:15-17:30

Session III. Liquidity

Chair: Juan Pablo Graf (Financial Stability Director, Banco de México)

Effects of the International Regulatory Reforms over Market Liquidity of Mexican Sovereign Debt

Alberto Romero (Banco de México)
Discussant: Sinem Hacioglu (Bank of England)

Payments Delays: Propagation and Punishment

Dilyara Salakhova (Bank of France)
Discussant: Stefan Thurner (Complexity Science Hub Vienna, Medical University of Vienna)

Solvency and wholesale funding cost interactions at UK banks

Sinem Hacioglu (Bank of England)
Discussant: Christoph Fricke (Federal Bank of Germany)

 

Wednesday 27th September 2017

9:00-11:15

Session IV. Stress Testing

 

Chair: Fabrizio López Gallo Dey (Financial System Risk Analysis Director, Banco de México)

Pandemic crises in financial systems: a simulation-model to complement stress testing frameworks

  Julien Idier (Bank of France)
  Discussant: Jose Fique (Bank of Canada)
 

Robustness of Credit Risk Stress Test Results: Modelling Issues with an Application to Belgium

Patrick Van Roy (National Bank of Belgium)
Discussant: Søren Korsgaard (National Bank of Denmark)

A Framework for Modelling System-Wide Stress Dynamics

Alissa Kleinnijenhuis (University of Oxford)
Discussant: Sofia Priazhkina (Bank of Canada)
11:30-13:45

Session V. Banking

Chair: Julien Idier (Deputy Head of Macro-Finance Division - Financial Stability Directorate, Bank of France)

Bank's Response to Negative Interest Rates: Evidence from the Swiss Exemption Threshold

Mike Mariathasan (University of Leuven)

Discussant: Georgia Bush (Banco de México)

What drives pricing in interbank markets?

Christoph Siebenbrunner (University of Oxford)
Discussant: Calixto Lopez Castañón (Banco de México)

What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy

Massimiliano Affinito (Bank of Italy)
Discussant: Ruslán Gómez Nesterkín (Banco de México)
15:00-17:15

Session VI. Common assets contagion

 

Chair: Stefano Battiston (SNF Professor, University of Zurich)

 

Quantification of systemic risk from overlapping portfolios in the financial system

  Stefan Thurner (Complexity Science Hub Vienna, Medical University Vienna)
  Discussant: Stefano Battiston (University of Zurich)
 

Systemic Risk and Vulnerabilities of Bank Networks

Alexander Becker (Boston University)
Discussant: Sebastian Poledna (International Institute for Applied Systems Analysis)

Minimization of Systemic Risk as an Optimal Network Reorganization Problem - The Case of Overlapping Portfolio Networks in the European Government Bond Market

Anton Pichler (Vienna University of Economics and Business)
Discussant: Jorge Chan-Lau (International Monetary Fund)
17:15-17:30

Closing remarks

Pascual O’Dogherty (Financial Stability General Director, Banco de México)

 

Poster Exhibition

Incorporating Funding Costs in Top-down Stress Tests

Søren Korsgaard (National Bank of Denmark)

Vulnerable Asset Management? The Case of Mutual Funds

Christoph Fricke (Federal Bank of Germany)

Economic Forecasting with an Agent-based Model

Sebastian Poledna (International Institute for Applied Systems Analysis)

The Implied Bail-in Probability from the Contingent Convertible Securities Market

Masayuki Kazato (Bank of Japan)